SPX dealer positioning, the week of November 28, 2022
Nov 28 to Dec 2 · 5 of 5 days traded · each session free to replay
| Day | Open | Close | Change | Range | Close to close | Flip at the close | Gamma at the close |
|---|---|---|---|---|---|---|---|
| Monday Nov 28 | 4001.4 | 3966.5 | -34.9 -0.87% | 55.3 | -60.6 | 3937.1 not crossed | positive |
| Tuesday Nov 29 | 3963.8 | 3957.7 | -6.1 -0.15% | 35.7 | -8.8 | 3955.8 crossed 2x | positive |
| Wednesday Nov 30 | 3961.4 | 4075.7 | +114.3 +2.89% | 136.6 | +118.0 | 4113.2 crossed 11x | negative |
| Thursday Dec 1 | 4085.8 | 4077.9 | -8.0 -0.19% | 48.2 | +2.2 | 4019.6 crossed 8x | positive |
| Friday Dec 2 | 4033.0 | 4071.2 | +38.2 +0.95% | 52.4 | -6.7 | 4079.6 crossed 5x | negative |
Week: +44.2 points (+1.10%), close to close from 2022-11-25.
Ranges: 328.3 points over 5 sessions, the largest 136.6 on 2022-11-30.
Zero-gamma flip at the close: 3937.1 on the first session, 4079.6 on the last (+142.5 points).
Closed in positive gamma: 3 of 5 sessions.
Events this week
- Nov 29
10:00Consumer confidence (Conference Board)
spot -2.6 in the 15 minutes after 10:00; flip 3881.3 → 3890.0; net gamma long; walls 3881.3 / 4033.4 → 3890.0 / 4026.5 - Nov 30
08:30GDP
GDP q/q: actual 2.8% / prior 2.9% - Nov 30
09:30VIX settlement
spot -0.7 in the 15 minutes after 09:30; flip 3905.9 → 3927.6; net gamma long; walls 3905.9 / 4041.4 → 3927.6 / 4075.3 - Nov 30
10:00JOLTS job openings
Openings: actual 10.80M / prior 10.09M
spot +1.4 in the 15 minutes after 10:00; flip 3927.4 → 3948.5; net gamma long - Nov 30
13:30Fed Chair speech: Economic Outlook, Inflation, and the Labor Marke
spot +14.0 in the 15 minutes after 13:30; net gamma long (was short) - Dec 1
08:30PCE inflation, income and spending · high impact
Core PCE m/m: actual 0.3% / prior 0.4% - Dec 1
10:00ISM manufacturing PMI
spot -19.1 in the 15 minutes after 10:00; flip 4026.8 → 4064.5; net gamma long; walls 4026.7 / 4145.4 → 4064.5 / 4152.1 - Dec 2
08:30Nonfarm payrolls · high impact
Payrolls: actual 303K / prior 357K; Unemployment rate: actual 3.6% / prior 3.6%
Prices are SPX at the minute. Change is close minus open; close to close is against the previous finished session. The zero-gamma flip is the terminal's measured flip at the close, and "crossed" counts the minutes the tape changed sides of it. Gamma at the close is where the close sat against that flip. Events are the market calendar's high and medium impact rows; the line under an in-session event is what the book did in the fifteen minutes after it, from the day's own payload. Nothing here is a forecast; see the Terms.